ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 17/06/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $91.62 (down $0.61)
    • VIC = $108.07 (up $2.86)
    • QLD = $79.87 (up $0.87)
    • SA = $104.60 (up $1.74)
  • Q2 19 was down
    • NSW = $85.50 (down $1.50)
    • VIC = $98 (down $3)
    • QLD = $77.95 (down $1.05)
    • SA = $92.75 (unchanged)
  • Q3 19 was mixed
    • NSW = $90 (down $2.40)
    • VIC = $103.21 (down $1.29)
    • QLD = $83 (up $1.75)
    • SA = $99 unchanged)
  • Implied at-the-money base load Q2 2019 average rate option volatility settled at 25.16% in NSW, 30% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 24.07% in NSW, 24.25% in VIC, 23.10% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 30% in NSW, 30% in VIC, 23.33% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 21.32%, QLD 26.95%, VIC 49.78% and SA 1.95%.

Overall Open Interest has increased by 1,500 to 60,369 lots. Futures increased by 720 to 42,698 lots and Options increased by 780 to 17,671 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $951 million
  • Futures contracts traded this week (including Cap futures) = 3,176
    • Base Months = 0
    • Base Quarters = 2,489
    • Peak Quarters = 30
    • Base Cap Quarters = 657
  • Quarterly Average Rate Options traded this week = 244
  • Calendar Year Options traded this week = 356 (1,424 quarterly equivalent contracts)
  • Financial Year Options traded this week = 250 (1,000 quarterly equivalent contracts)
  • Volume of EFP this week = 195
  • Volume of Block Trades this week = 3,565
  • Total MWh traded this week = 12.786 million MWh
  • Open Interest (including caps and options) = 60,639 (representing 187.22 million MWh and a face value of $13.31 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 863
  • FY 17/18 average daily volume = 608
  • FY 16/17 average daily volume = 710
  • FY 15/16 average daily volume = 705
  • FY 14/15 average daily volume = 812
  • FY 13/14 average daily volume = 702
  • FY 12/13 average daily volume = 637
  • Jun 19 volume to date = 12,236 / avg daily volume = 1,112
  • May 19 volume to date = 24,896 / avg daily volume = 1,082
  • Apr 19 total volume = 12,260 / avg daily volume = 645
  • Mar 19 total volume = 20,022 / avg daily volume = 953
  • Feb 19 total volume = 16,582 / avg daily volume = 829
  • Jan 19 total volume = 14,670 / avg daily volume = 667
  • Dec 18 total volume = 13,493 / avg daily volume = 710
  • Nov 18 total volume = 28,376 / avg daily volume = 1,290
  • Oct 18 total volume = 21,811 / avg daily volume = 948
  • Sep 18 total volume = 11,561 / avg daily volume = 578
  • Aug 18 total volume = 19,368 / avg daily volume = 842
  • Jul 18 total volume = 16,190 / avg daily volume = 735
  • Jun 18 total volume = 21,906 / avg daily volume = 1,043
  • May 18 total volume = 16,292 / avg daily volume = 708
  • Apr 18 total volume = 11,632 / avg daily volume = 612
  • Mar 18 total volume = 13,112 / avg daily volume = 642
  • Feb 18 total volume = 11,181 / avg daily volume = 559
  • Jan 18 total volume = 12,593 / avg daily volume = 572
  • Dec 17 total volume = 6,475 / avg daily volume = 340
  • Nov 17 total volume = 12,700 / avg daily volume = 577
  • Oct 17 total volume = 11,237 / avg daily volume = 510
  • Sep 17 total volume = 14,994 / avg daily volume = 714
  • Aug 17 total volume = 10,276 / avg daily volume = 446
  • Jul 17 total volume = 11,996 / avg daily volume = 571
  • Jun 17 total volume = 11,817 / avg daily volume = 537
  • May 17 total volume = 16,637 / avg daily volume = 723
  • Apr 17 total volume = 11,547 / avg daily volume = 642
  • Mar 17 total volume = 13,800 / avg daily volume = 600
  • Feb 17 total volume = 25,211 / avg daily volume = 1,261
  • Jan 17 total volume = 15,608 / avg daily volume = 743
  • Dec 16 total volume = 12,300 / avg daily volume = 615
  • Nov 16 total volume = 24,280 / avg daily volume = 1,104
  • Oct 16 total volume = 13,128 / avg daily volume = 625
  • Sep 16 total volume = 15,358 / avg daily volume = 698
  • Aug 16 total volume = 13,309 / avg daily volume = 579
  • Jul 16 total volume = 8,643 / avg daily volume = 412
  • Jun 16 total volume = 17,453 / avg daily volume = 793
  • May 16 total volume = 16,758 / avg daily volume = 762
  • Apr 16 total volume = 11,788 / avg daily volume = 575
*all contracts are 1 MW calendar quarter equivalent

^volume includes futures trades which result from option exercise, face value of options calculated at strike price

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Chart Futures, Caps and Options VolumeChart Futures, Caps and Options Volume

Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Mon 17 Jun 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42019 115 1,904 55 1,687 102 1,726 1 441
Q12020 91 1,425 96 1,556 179 2,223 0 455
Q22020 100 1,380 75 1,071 115 1,635 0 300
Q32020 62 1,036 90 921 110 1,128 0 258
Q42020 65 1,131 61 985 110 1,116 0 264
Q12021 0 480 0 629 10 511 0 210
Q22021 0 415 0 565 10 456 0 101
Q32021 0 224 0 384 0 295 0 48
Q42021 0 233 0 381 0 285 0 47
Q12022 0 10 0 40 0 45 0 0
Q22022 0 10 0 45 0 50 0 0
Q32022 0 0 0 5 0 15 0 0
Q42022 0 0 0 5 0 15 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 433 8,248 377 8,274 636 9,500 1 2,124

Options Open Interest As at COB Mon 17 Jun 2019

  NSW VIC QLD SA
Dec 2019 357 965 1,050 0
Mar 2020 250 1,011 400 0
Jun 2020 100 200 0 0
Sep 2020 0 300 50 0
Cal 2020 1,304 1,519 1,985 0
Fin 2021 190 500 995 0
Cal 2021 205 870 680 0
Fin 2022 0 200 215 0
Cal 2022 0 0 100 0
Fin 2023 0 0 0 0
Total 2,406 5,565 5,475 0